Stock Suspension,Price Limits and ETF Pricing EiEciency—An Empirical Research on SSE 50ETF
利用2007-2011年中国股市数据，研究上证50ETF市场价格与净值的关系，发现停牌和涨跌停期间价格偏离净值并非真实套利机会，市场定价效率较高。
Using the data of China's stock market from 2007 to 2011 this paper studies the correlation between Shanghai 50ETF market prices and its NAV,and the influencing factors of the ETF price discount(or premium) level.We find that during the period of price limits and stock suspension,due to ETF market price with the price discovery function,the ETF market price may deviate from the ETF NAV.Such abnormal discount or premium is not true arbitrage opportunities.We also find that ETF market price and NAV have significantly synchronic change.Except during price limits and the suspension period,the ETF discount or premium is lower than the transaction costs required for arbitrage.This study shows that Shanghai 50ETF market has higher pricing efficiency.